by Beatrice Acciaio, Evgeny Kolosov, Gudmund Pammer, Mathias Beiglböck
Continue on SelfMadeQuant
Suggested foundations for stochastic processes and pricing and probability and statistical reasoning. Specialist prerequisites vary by paper.
Interpret expectations after information is observed.
Follow Brownian dynamics and the second-order term in Itô calculus.
Read the distributions and expectations used in probabilistic arguments.
Connect stochastic dynamics to no-arbitrage prices.
Translate continuous dynamics into a numerical experiment.
Assess uncertainty rather than treating an estimate as a fact.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.
Move from conditioning and expected values to timed problems with a defensible solution.